Search Results - subject:"Exchange Rate Models"

Evaluating exchange rate models based on rational expectations versus imperfect knowledge economics

Baycan, Ismail Onur - In: International journal of financial research 6 (2015) 4, pp. 187-193

Persistent link: https://www.econbiz.de/10011405474

A note on long horizon forecasts of nonlinear models of real exchange rates: Comments on Rapach and Wohar (2006)

Buncic, Daniel - Volkswirtschaftliche Fakultät, … - 2008

We show that long horizon forecasts from the nonlinear models that are considered in the study by Rapach andWohar (2006) cannot generate any forecast gains over a simple AR(1) specification. This is contrary to the findings reported in Rapach and Wohar (2006). Moreover, we illustrate graphically...

Persistent link: https://www.econbiz.de/10005621893

A Note on Long Horizon Forecasts of Nonlinear Models of Real Exchange Rates: Comments on Rapach and Wohar (2006)

Buncic, Daniel - School of Economics, UNSW Business School - 2008

). Keywords: PPP, regime modelling, nonlinear real exchange rate models, ESTAR, fore- cast evaluation. JEL Classification: C22, C …

Persistent link: https://www.econbiz.de/10005135159

The unbeatable random walk in exchange rate forecasting: Reality or myth?

Moosa, Imad; Burns, Kelly - In: Journal of Macroeconomics 40 (2014) C, pp. 69-81

It is demonstrated that the conventional monetary model of exchange rates can (irrespective of the specification, estimation method or the forecasting horizon) outperform the random walk in out-of-sample forecasting if forecasting power is measured by direction accuracy and profitability. Claims...

Persistent link: https://www.econbiz.de/10010777112

A reappraisal of the Meese-Rogoff puzzle

Moosa, Imad A.; Burns, Kelly - In: Applied economics 46 (2014) 1/3, pp. 30-40

Persistent link: https://www.econbiz.de/10010354125

Error correction modelling and dynamic specifications as a conduit to outperforming the random walk in exchange rate forecasting

Moosa, Imad A.; Burns, Kelly - In: Applied economics 46 (2014) 25/27, pp. 3107-3118

Persistent link: https://www.econbiz.de/10010418113

In which exchange rate models do forecasters trust?

Hauner, D.; Yi, Chae-u; Takizawa, H. - In: Applied economics letters 21 (2014) 16/18, pp. 1302-1308

Persistent link: https://www.econbiz.de/10010467445

The unbeatable random walk in exchange rate forecasting : reality or myth?

Moosa, Imad A.; Burns, Kelly - In: Journal of macroeconomics 40 (2014), pp. 69-81

Persistent link: https://www.econbiz.de/10010495751

The Economic Value of Fundamental and Technical Information in Emerging Currency Markets

Swinkels, Laurens A. P.; van Dijk, Dick; de Zwart, de … - Erasmus Research Institute of Management (ERIM), … - 2007

We measure the economic value of information derived from macroeconomic variables and from technical trading rules for emerging markets currency investments. Our analysis is based on a sample of 21 emerging markets with a floating exchange rate regime over the period 1997-2007 and explicitly...

Persistent link: https://www.econbiz.de/10010837527

The Economic Value of Fundamental and Technical Information in Emerging Currency Markets

Zwart, G.J. de; Markwat, T.D.; Swinkels, L.A.P.; Dijk, … - Erasmus Research Institute of Management (ERIM), ERIM … - 2007

strategies. Keywords: Emerging markets, Foreign exchange rates, Structural exchange rate models, Technical trading, Heterogeneous …-adjusted performance of the investment strategies. Keywords: Emerging markets, Foreign exchange rates, Structural exchange rate models … used in structural exchange rate models, and information from historical prices as used in technical trading rules. Meese …

Persistent link: https://www.econbiz.de/10005795632